Recently, Mashable discovered that in the latest beta version of Snapchat, there was a new feature called ‘Connected Apps.' There wasn't anything displaying, but the placeholder text said “These apps are Connect to your Snapchat account. Choose an app to control what it has access to.” Basically, what this means is that Snapchat could let third-party software connect to your account and harness your data.
At this point, this feature seems to just be in testing and could possibly not even be released. We don't know how much data Snap would allow third parties access. A Snap spokesperson said that the company doesn't share user-identifiable information with advertisers and does not offer a service that's similar to Facebook's Graph API nor share friend network information with third parties. This is basically what happened in the Cambridge Analytica controversy.
Mashable points out that currently, Snapchat only allows users to connect their accounts to two external services: Bitmoji and Shazam. At this time, users can't connect their Snapchat accounts to anything but those two. Though it's worth mentioning that Snap has learned a lot from paying close attention to Facebook's situation of Cambridge Analytica and privacy.